This looks like it is a wasabi implementation and requires you to agree to their terms service, which results in your uxto being screened by Chain Analysis for approval.
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Yeah, valid concern, but two things to note here:
1. With PayJoin you're going to get fresh address, which definitely won't be in Chain Analysis approval list
2. You can CoinJoin through non-default coordinator
Especially number 2 is big motivation to do video; if we get 1 new coordinator running (especially over nostr), that would be a W.
Every utxo is being scanned by chain surveillance, regardless of what you or others do.